Re-examing purchasing power parity for East-Asian currencies : 1976-2002.
We investigate the behaviour of real exchange rates of six East-Asian countries in relation to their two major trading partners – the United States and Japan. These countries, except, Singapore were affected by the financial crisis of the fall 1997. Using monthly frequency data from 1976 to 2002 an...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis
2008
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| Online Access: | http://psasir.upm.edu.my/id/eprint/16467/1/Re.pdf |
| _version_ | 1796969060407181312 |
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| author | Baharumshah, Ahmad Zubaidi Chan, Tze Haw Fountas, Stilianos |
| author_facet | Baharumshah, Ahmad Zubaidi Chan, Tze Haw Fountas, Stilianos |
| author_sort | Baharumshah, Ahmad Zubaidi |
| collection | UPM |
| description | We investigate the behaviour of real exchange rates of six East-Asian countries in relation to their two major trading partners – the United States and Japan. These countries, except, Singapore were affected by the financial crisis of the fall 1997. Using monthly frequency data from 1976 to
2002 and the autoregressive distributed lag (ARDL) cointegration procedure we test for the long-run purchasing power parity (PPP) hypothesis. We find no evidence for the weak form of PPP in the pre-crisis period, but strong evidence in the post-crisis period. For the post-crisis
period, we also find very small persistence of PPP deviations as indicated by very small half-lives (<7 months) and narrow confidence intervals with an upper bound of 1 year or less in most countries. Our findings reveal that the East Asian countries are returning to some form of PPP-oriented rule as a basis for their exchange rate policies. |
| first_indexed | 2024-03-06T07:37:30Z |
| format | Article |
| id | upm.eprints-16467 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T07:37:30Z |
| publishDate | 2008 |
| publisher | Taylor & Francis |
| record_format | dspace |
| spelling | upm.eprints-164672015-09-04T08:14:43Z http://psasir.upm.edu.my/id/eprint/16467/ Re-examing purchasing power parity for East-Asian currencies : 1976-2002. Baharumshah, Ahmad Zubaidi Chan, Tze Haw Fountas, Stilianos We investigate the behaviour of real exchange rates of six East-Asian countries in relation to their two major trading partners – the United States and Japan. These countries, except, Singapore were affected by the financial crisis of the fall 1997. Using monthly frequency data from 1976 to 2002 and the autoregressive distributed lag (ARDL) cointegration procedure we test for the long-run purchasing power parity (PPP) hypothesis. We find no evidence for the weak form of PPP in the pre-crisis period, but strong evidence in the post-crisis period. For the post-crisis period, we also find very small persistence of PPP deviations as indicated by very small half-lives (<7 months) and narrow confidence intervals with an upper bound of 1 year or less in most countries. Our findings reveal that the East Asian countries are returning to some form of PPP-oriented rule as a basis for their exchange rate policies. Taylor & Francis 2008 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/16467/1/Re.pdf Baharumshah, Ahmad Zubaidi and Chan, Tze Haw and Fountas, Stilianos (2008) Re-examing purchasing power parity for East-Asian currencies : 1976-2002. Applied Financial Economics, 18 (1). pp. 75-85. ISSN 1466-4305 10.1080/09603100601018856 |
| spellingShingle | Baharumshah, Ahmad Zubaidi Chan, Tze Haw Fountas, Stilianos Re-examing purchasing power parity for East-Asian currencies : 1976-2002. |
| title | Re-examing purchasing power parity for East-Asian currencies : 1976-2002. |
| title_full | Re-examing purchasing power parity for East-Asian currencies : 1976-2002. |
| title_fullStr | Re-examing purchasing power parity for East-Asian currencies : 1976-2002. |
| title_full_unstemmed | Re-examing purchasing power parity for East-Asian currencies : 1976-2002. |
| title_short | Re-examing purchasing power parity for East-Asian currencies : 1976-2002. |
| title_sort | re examing purchasing power parity for east asian currencies 1976 2002 |
| url | http://psasir.upm.edu.my/id/eprint/16467/1/Re.pdf |
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